418 reputation
314
bio website
location Santiago, Chile
age 31
visits member for 2 years
seen Apr 11 at 15:41

Oct
9
revised Trading a synthetic replication of the VIX index
Used Larry William's Highest(...) function instead of max(...) that can lead to confusion.
Oct
9
suggested suggested edit on Trading a synthetic replication of the VIX index
Oct
5
accepted Why the interest rate for put-call parity is not constant?
Oct
5
comment Why the interest rate for put-call parity is not constant?
Thanks Strange. I was not considering dividends at all.
Oct
5
asked Why the interest rate for put-call parity is not constant?
Oct
5
accepted How should I include the bid-ask spread as a transaction cost in a backtest?
Oct
5
accepted When to use Monte Carlo simulation over analytical methods for options pricing?
Oct
2
asked When to use Monte Carlo simulation over analytical methods for options pricing?
Jun
10
asked How should I include the bid-ask spread as a transaction cost in a backtest?
Jun
10
accepted Two prices pass the cointegration test but there is a trend. How to check stationarity?
Jun
10
accepted Choosing the time-frame to test for cointegration
Jun
10
accepted How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
Jun
9
asked How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
May
16
awarded  Scholar
May
16
accepted How to build a mean reverting basket?
May
8
awarded  Critic
May
8
comment How to build a mean reverting basket?
Thanks mepuzza. I know about cointegration and how to test for cointegration of pairs using (for example) Augmented Dickey-Fuller test. Do you have any reference I can read about building/testing cointegrated baskets?
May
8
asked How to build a mean reverting basket?
Apr
12
asked Two prices pass the cointegration test but there is a trend. How to check stationarity?
Apr
11
comment Choosing the time-frame to test for cointegration
Thanks Craig for your answer, but you may be introducing some data-snooping bias in your analysis.